SunTrust 2006 Annual Report Download - page 58

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Derivative hedging instrument activities are as follows:
Notional Values1
(Dollars in millions) Asset Hedges Liability Hedges Total
Balance, January 1, 2005 $3,870 $13,482 $17,352
Additions 2,300 4,223 6,523
Terminations (300) (300) (600)
Hedge accounting correction (18) (1,100) (1,118)
Maturities (52) (3,773) (3,825)
Balance, December 31, 2005 $5,800 $12,532 $18,332
Additions 1,500 5,850 7,350
Maturities (300) (2,200) (2,500)
Terminations - (1,700) (1,700)
Dedesignations - (8,394) (8,394)
Balance, December 31, 2006 $7,000 $6,088 $13,088
1Includes only derivative financial instruments which are currently qualifying hedges under SFAS No. 133. Certain other derivatives that are effective for
risk management purposes, but which are not in designated hedging relationships under SFAS No. 133, are not incorporated in this table. Excludes hedges
for the Company's mortgage loans held for sale. As of December 31, 2006 and 2005, the notional amount of mortgage derivative contracts totaled $6.8
billion and $14.4 billion, respectively.
The following table presents the expected maturities of derivative financial instruments:
As of December 31, 2006 1
1 Year
or Less
1-2
Years
2-5
Years
5-10
Years
After 10
Years Total
(Dollars in millions)
Cash Flow Asset Hedges
Notional amount - swaps $4,900 $600 $1,500 $- $- $7,000
Net unrealized gain (loss) (30) (9) 24 - - (15)
Weighted average receive rate 23.68 % 3.95 % 5.50 % - % - % 4.09 %
Weighted average pay rate 25.35 5.35 5.35 - - 5.35
Fair Value Asset Hedges
Notional amount - forwards $6,787 $- $- $- $- $6,787
Net unrealized gain 3--- -3
Cash Flow Liability Hedges
Notional amount - swaps and options 3$- $1,115 $1,150 $- $- $2,265
Net unrealized gain -2121 - -42
Weighted average receive rate 2- % 5.37 % 5.37 % - % - % 5.37 %
Weighted average pay rate 2- 3.85 4.18 - - 3.98
Fair Value Liability Hedges
Notional amount - swaps $- $173 $1,950 $1,700 $- $3,823
Net unrealized loss - (5) (90) (71) - (166)
Weighted average receive rate 2- % 2.48 % 3.73 % 4.10 % - % 3.84 %
Weighted average pay rate 2- 5.37 5.37 5.37 - 5.37
1Includes only derivative financial instruments which are currently qualifying hedges under SFAS No. 133. Certain other derivatives that are effective for risk management purposes, but which are not in
designated hedging relationships under SFAS No. 133, are not incorporated in this table.
2All interest rate swaps have variable pay or receive rates with resets of six months or less, and are the pay or receive rates in effect at December 31, 2006.
3Includes interest rate swaptions with notional of $0.4 billion and the option to pay a fixed rate of 4.31% beginning May 2007. As the rates on the swaptions were not applicable at December 31, 2006, they
have been excluded from the weighted average pay and receive calculations.
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